Dear FF Members,
When I first started looking into FX trading roughly a year ago, this forum helped me a ton by steering me away from indicators and other "too good to be true" methods of trading. The members here set me straight on PASR methods, and I read the phenomenal Trading In The Zone thanks to you.
This post is my little thank you back. I recently had a programmer off elance write a script for me to convert the free Dukascopy tick data (available for download through their JForex platform--perhaps the best free FX tick data available) into NinjaTrader format so I could do a little backtesting.
The coder did such a good job that I just can't keep this little app to myself. Any NinjaTrader user should find it self-explanatory.
I've only confirmed it works with the Dukascopy TICK data--time probably will not work. The process can take a very long time on larger files, so as long as you see the progress wheel spinning, it's still going. If there are no ticks for longer than the "Gap" number of seconds, a log entry will be triggered. This is to help give you a feel for where data may be missing. Just select the Dukascopy saved CSV with the input button and click convert.
Volume is rounded to nearest integer and kept at 1 or higher to conform with NinjaTrader import standards.
Learn how to obtain the Dukascopy CSVs here, courtesy of Birt's EA Review:
"So, begin by registering a demo account with Dukascopy and start the JForex platform (or register a live account, the data process is the same). Login using the data in the email you received, then go to the Tools menu and click Historical Tester. In the lower part of the window, the Historical Tester interface should appear; from now on, everything you have to do happens in that part of the window. First, select the symbol that you want the tick data for in the combo box on the left side (EUR/USD is selected by default). If you need the data for any additional symbols, click the small plus sign next to the combo box, which will pop up an Instrument Selector window. Select any other additional symbols that you want the tick data for and click Ok. Ignore the combo box to the right of the plus sign and click the calendar button to its right. Select 2007.03.01 as the start date (no tick data is available before that date) then select an end date of your choice. Note that if you select today’s date you might run into download errors as not all the data is available yet. After you’re done with the period selection, make sure “Ticks” is selected in the combo box below the symbol and click the “Get Data” button.
Very important: if you are not using a locale that has a dot (“.”) as decimal separator, the FXT script will not work with your CSV. If you get broken FXT files, it’s most likely because your decimal separator is a comma and to solve this problem you have to switch to an English locale (via Control Panel -> Regional Settings or Control Panel -> Region and Language), restart JForex, export the CSV files, then switch back to your original locale. If you don’t want to switch your locale, the alternative solution is to use the PHP method below.
At this point, you’re going to have to patiently wait until the progress indicator slowly (exactly how slowly depends on the amount of data you selected) crawls to 100%. If it says “downloading failed”, try again; if it still fails, try a shorter period of time or symbol by symbol in case you selected multiple symbols. If it still fails and you can’t figure it out, just use the PHP method described below.
Assuming the download went fine, you can click the Save Data button and choose the path and the file names for the CSV files for each symbol. Now you can use the JForex2FXT script included in the scripts archive script to convert the data into an FXT; it works just like the Dukascopy2FXT script and you can find instructions on its usage in the “Converting the data to an MT4 format” paragraph below – all you need to do is use JForex2FXT instead of Dukascopy2FXT)."
Regards to all,
Twentyquid
When I first started looking into FX trading roughly a year ago, this forum helped me a ton by steering me away from indicators and other "too good to be true" methods of trading. The members here set me straight on PASR methods, and I read the phenomenal Trading In The Zone thanks to you.
This post is my little thank you back. I recently had a programmer off elance write a script for me to convert the free Dukascopy tick data (available for download through their JForex platform--perhaps the best free FX tick data available) into NinjaTrader format so I could do a little backtesting.
The coder did such a good job that I just can't keep this little app to myself. Any NinjaTrader user should find it self-explanatory.
I've only confirmed it works with the Dukascopy TICK data--time probably will not work. The process can take a very long time on larger files, so as long as you see the progress wheel spinning, it's still going. If there are no ticks for longer than the "Gap" number of seconds, a log entry will be triggered. This is to help give you a feel for where data may be missing. Just select the Dukascopy saved CSV with the input button and click convert.
Volume is rounded to nearest integer and kept at 1 or higher to conform with NinjaTrader import standards.
Learn how to obtain the Dukascopy CSVs here, courtesy of Birt's EA Review:
"So, begin by registering a demo account with Dukascopy and start the JForex platform (or register a live account, the data process is the same). Login using the data in the email you received, then go to the Tools menu and click Historical Tester. In the lower part of the window, the Historical Tester interface should appear; from now on, everything you have to do happens in that part of the window. First, select the symbol that you want the tick data for in the combo box on the left side (EUR/USD is selected by default). If you need the data for any additional symbols, click the small plus sign next to the combo box, which will pop up an Instrument Selector window. Select any other additional symbols that you want the tick data for and click Ok. Ignore the combo box to the right of the plus sign and click the calendar button to its right. Select 2007.03.01 as the start date (no tick data is available before that date) then select an end date of your choice. Note that if you select today’s date you might run into download errors as not all the data is available yet. After you’re done with the period selection, make sure “Ticks” is selected in the combo box below the symbol and click the “Get Data” button.
Very important: if you are not using a locale that has a dot (“.”) as decimal separator, the FXT script will not work with your CSV. If you get broken FXT files, it’s most likely because your decimal separator is a comma and to solve this problem you have to switch to an English locale (via Control Panel -> Regional Settings or Control Panel -> Region and Language), restart JForex, export the CSV files, then switch back to your original locale. If you don’t want to switch your locale, the alternative solution is to use the PHP method below.
At this point, you’re going to have to patiently wait until the progress indicator slowly (exactly how slowly depends on the amount of data you selected) crawls to 100%. If it says “downloading failed”, try again; if it still fails, try a shorter period of time or symbol by symbol in case you selected multiple symbols. If it still fails and you can’t figure it out, just use the PHP method described below.
Assuming the download went fine, you can click the Save Data button and choose the path and the file names for the CSV files for each symbol. Now you can use the JForex2FXT script included in the scripts archive script to convert the data into an FXT; it works just like the Dukascopy2FXT script and you can find instructions on its usage in the “Converting the data to an MT4 format” paragraph below – all you need to do is use JForex2FXT instead of Dukascopy2FXT)."
Regards to all,
Twentyquid
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